کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1153905 958360 2006 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Likelihood-look-ahead inference on the equilibrium distribution of Markov chains
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Likelihood-look-ahead inference on the equilibrium distribution of Markov chains
چکیده انگلیسی
We propose a method for statistical inference on the stationary probability measure of a Markov chain with general state space whose transition function belongs to a parametric family. We extend the look-ahead method introduced by Glynn and Henderson to this situation, using maximum likelihood estimation based on data from the observed process. We show the consistency and asymptotic normality of our estimator and construct confidence intervals for the values of the stationary distribution. We illustrate our results with simulation studies of the Lindley process and the AR(1) process.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 76, Issue 10, 15 May 2006, Pages 991-1000
نویسندگان
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